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market-microstructure-theory
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# Market Microstructure Theory
> Market microstructure theory — limit order books, price discovery, bid-ask spread economics.
## When to Activate
- User needs to understand how prices form in electronic markets
- Analyzing bid-ask spread components (adverse selection, inventory, order processing)
- Modeling limit order book dynamics and depth
- Understanding informed vs uninformed trading (Kyle, Glosten-Milgrom models)
- Evaluating market quality metrics (spread, depth, resilience, price efficiency)
## Core Concepts
### What Is Microstructure?